I work in PE6 on a Mac and took the Brush class - it's great and you also get the book April referred to. I'd really recommend it when it's offered again.
But, maybe this will help for now. Once you create your brush, here's what happens for me.
When I "define brush" it automatically puts that brush into the last brush set I was working with. Like, if the last brush set I used was SNU Brush Set: Painted Edges when I made my brush, it ended up in there.
I just have to remember that.
Now, of course there IS a real way to save/file them in a more professional way, but I can't remember how, sorry!

Marilyn, you're almost home! First, when you define a brush, it CANNOT exceed 2500 pixels height or width. When it's selected, Edit, Define Brush saves as you described.

Then click the brush selection tool, and select the miniscule arrow at the upper-right (WHY does Photoshop make the controls so tiny for our eyes, and requiring painstaking selection?) On the flyout, select Preset Manager. That's where you can Name brushes, select multiple brushes and save as a set, etc. Hope this helps!

Marilyn, you're almost home! First, when you define a brush, it CANNOT exceed 2500 pixels height or width. When it's selected, Edit, Define Brush saves as you described.

Then click the brush selection tool, and select the miniscule arrow at the upper-right (WHY does Photoshop make the controls so tiny for our eyes, and requiring painstaking selection?) On the flyout, select Preset Manager. That's where you can Name brushes, select multiple brushes and save as a set, etc. Hope this helps!